summaryrefslogtreecommitdiff
path: root/rand/rand_distr/src/binomial.rs
diff options
context:
space:
mode:
authorDaniel Mueller <deso@posteo.net>2020-01-02 08:32:06 -0800
committerDaniel Mueller <deso@posteo.net>2020-01-02 08:32:06 -0800
commitfd091b04316db9dc5fafadbd6bdbe60b127408a9 (patch)
treef202270f7ae5cedc513be03833a26148d9b5e219 /rand/rand_distr/src/binomial.rs
parent8161cdb26f98e65b39c603ddf7a614cc87c77a1c (diff)
downloadnitrocli-fd091b04316db9dc5fafadbd6bdbe60b127408a9.tar.gz
nitrocli-fd091b04316db9dc5fafadbd6bdbe60b127408a9.tar.bz2
Update nitrokey crate to 0.4.0
This change finally updates the version of the nitrokey crate that we consume to 0.4.0. Along with that we update rand_core, one of its dependencies, to 0.5.1. Further more we add cfg-if in version 0.1.10 and getrandom in version 0.1.13, both of which are now new (non-development) dependencies. Import subrepo nitrokey/:nitrokey at e81057037e9b4f370b64c0a030a725bc6bdfb870 Import subrepo cfg-if/:cfg-if at 4484a6faf816ff8058088ad857b0c6bb2f4b02b2 Import subrepo getrandom/:getrandom at d661aa7e1b8cc80b47dabe3d2135b3b47d2858af Import subrepo rand/:rand at d877ed528248b52d947e0484364a4e1ae59ca502
Diffstat (limited to 'rand/rand_distr/src/binomial.rs')
-rw-r--r--rand/rand_distr/src/binomial.rs329
1 files changed, 329 insertions, 0 deletions
diff --git a/rand/rand_distr/src/binomial.rs b/rand/rand_distr/src/binomial.rs
new file mode 100644
index 0000000..0e6bf9a
--- /dev/null
+++ b/rand/rand_distr/src/binomial.rs
@@ -0,0 +1,329 @@
+// Copyright 2018 Developers of the Rand project.
+// Copyright 2016-2017 The Rust Project Developers.
+//
+// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or
+// https://www.apache.org/licenses/LICENSE-2.0> or the MIT license
+// <LICENSE-MIT or https://opensource.org/licenses/MIT>, at your
+// option. This file may not be copied, modified, or distributed
+// except according to those terms.
+
+//! The binomial distribution.
+
+use rand::Rng;
+use crate::{Distribution, Uniform};
+
+/// The binomial distribution `Binomial(n, p)`.
+///
+/// This distribution has density function:
+/// `f(k) = n!/(k! (n-k)!) p^k (1-p)^(n-k)` for `k >= 0`.
+///
+/// # Example
+///
+/// ```
+/// use rand_distr::{Binomial, Distribution};
+///
+/// let bin = Binomial::new(20, 0.3).unwrap();
+/// let v = bin.sample(&mut rand::thread_rng());
+/// println!("{} is from a binomial distribution", v);
+/// ```
+#[derive(Clone, Copy, Debug)]
+pub struct Binomial {
+ /// Number of trials.
+ n: u64,
+ /// Probability of success.
+ p: f64,
+}
+
+/// Error type returned from `Binomial::new`.
+#[derive(Clone, Copy, Debug, PartialEq, Eq)]
+pub enum Error {
+ /// `p < 0` or `nan`.
+ ProbabilityTooSmall,
+ /// `p > 1`.
+ ProbabilityTooLarge,
+}
+
+impl Binomial {
+ /// Construct a new `Binomial` with the given shape parameters `n` (number
+ /// of trials) and `p` (probability of success).
+ pub fn new(n: u64, p: f64) -> Result<Binomial, Error> {
+ if !(p >= 0.0) {
+ return Err(Error::ProbabilityTooSmall);
+ }
+ if !(p <= 1.0) {
+ return Err(Error::ProbabilityTooLarge);
+ }
+ Ok(Binomial { n, p })
+ }
+}
+
+/// Convert a `f64` to an `i64`, panicing on overflow.
+// In the future (Rust 1.34), this might be replaced with `TryFrom`.
+fn f64_to_i64(x: f64) -> i64 {
+ assert!(x < (::std::i64::MAX as f64));
+ x as i64
+}
+
+impl Distribution<u64> for Binomial {
+ #[allow(clippy::many_single_char_names)] // Same names as in the reference.
+ fn sample<R: Rng + ?Sized>(&self, rng: &mut R) -> u64 {
+ // Handle these values directly.
+ if self.p == 0.0 {
+ return 0;
+ } else if self.p == 1.0 {
+ return self.n;
+ }
+
+ // The binomial distribution is symmetrical with respect to p -> 1-p,
+ // k -> n-k switch p so that it is less than 0.5 - this allows for lower
+ // expected values we will just invert the result at the end
+ let p = if self.p <= 0.5 {
+ self.p
+ } else {
+ 1.0 - self.p
+ };
+
+ let result;
+ let q = 1. - p;
+
+ // For small n * min(p, 1 - p), the BINV algorithm based on the inverse
+ // transformation of the binomial distribution is efficient. Otherwise,
+ // the BTPE algorithm is used.
+ //
+ // Voratas Kachitvichyanukul and Bruce W. Schmeiser. 1988. Binomial
+ // random variate generation. Commun. ACM 31, 2 (February 1988),
+ // 216-222. http://dx.doi.org/10.1145/42372.42381
+
+ // Threshold for prefering the BINV algorithm. The paper suggests 10,
+ // Ranlib uses 30, and GSL uses 14.
+ const BINV_THRESHOLD: f64 = 10.;
+
+ if (self.n as f64) * p < BINV_THRESHOLD &&
+ self.n <= (::std::i32::MAX as u64) {
+ // Use the BINV algorithm.
+ let s = p / q;
+ let a = ((self.n + 1) as f64) * s;
+ let mut r = q.powi(self.n as i32);
+ let mut u: f64 = rng.gen();
+ let mut x = 0;
+ while u > r as f64 {
+ u -= r;
+ x += 1;
+ r *= a / (x as f64) - s;
+ }
+ result = x;
+ } else {
+ // Use the BTPE algorithm.
+
+ // Threshold for using the squeeze algorithm. This can be freely
+ // chosen based on performance. Ranlib and GSL use 20.
+ const SQUEEZE_THRESHOLD: i64 = 20;
+
+ // Step 0: Calculate constants as functions of `n` and `p`.
+ let n = self.n as f64;
+ let np = n * p;
+ let npq = np * q;
+ let f_m = np + p;
+ let m = f64_to_i64(f_m);
+ // radius of triangle region, since height=1 also area of region
+ let p1 = (2.195 * npq.sqrt() - 4.6 * q).floor() + 0.5;
+ // tip of triangle
+ let x_m = (m as f64) + 0.5;
+ // left edge of triangle
+ let x_l = x_m - p1;
+ // right edge of triangle
+ let x_r = x_m + p1;
+ let c = 0.134 + 20.5 / (15.3 + (m as f64));
+ // p1 + area of parallelogram region
+ let p2 = p1 * (1. + 2. * c);
+
+ fn lambda(a: f64) -> f64 {
+ a * (1. + 0.5 * a)
+ }
+
+ let lambda_l = lambda((f_m - x_l) / (f_m - x_l * p));
+ let lambda_r = lambda((x_r - f_m) / (x_r * q));
+ // p1 + area of left tail
+ let p3 = p2 + c / lambda_l;
+ // p1 + area of right tail
+ let p4 = p3 + c / lambda_r;
+
+ // return value
+ let mut y: i64;
+
+ let gen_u = Uniform::new(0., p4);
+ let gen_v = Uniform::new(0., 1.);
+
+ loop {
+ // Step 1: Generate `u` for selecting the region. If region 1 is
+ // selected, generate a triangularly distributed variate.
+ let u = gen_u.sample(rng);
+ let mut v = gen_v.sample(rng);
+ if !(u > p1) {
+ y = f64_to_i64(x_m - p1 * v + u);
+ break;
+ }
+
+ if !(u > p2) {
+ // Step 2: Region 2, parallelograms. Check if region 2 is
+ // used. If so, generate `y`.
+ let x = x_l + (u - p1) / c;
+ v = v * c + 1.0 - (x - x_m).abs() / p1;
+ if v > 1. {
+ continue;
+ } else {
+ y = f64_to_i64(x);
+ }
+ } else if !(u > p3) {
+ // Step 3: Region 3, left exponential tail.
+ y = f64_to_i64(x_l + v.ln() / lambda_l);
+ if y < 0 {
+ continue;
+ } else {
+ v *= (u - p2) * lambda_l;
+ }
+ } else {
+ // Step 4: Region 4, right exponential tail.
+ y = f64_to_i64(x_r - v.ln() / lambda_r);
+ if y > 0 && (y as u64) > self.n {
+ continue;
+ } else {
+ v *= (u - p3) * lambda_r;
+ }
+ }
+
+ // Step 5: Acceptance/rejection comparison.
+
+ // Step 5.0: Test for appropriate method of evaluating f(y).
+ let k = (y - m).abs();
+ if !(k > SQUEEZE_THRESHOLD && (k as f64) < 0.5 * npq - 1.) {
+ // Step 5.1: Evaluate f(y) via the recursive relationship. Start the
+ // search from the mode.
+ let s = p / q;
+ let a = s * (n + 1.);
+ let mut f = 1.0;
+ if m < y {
+ let mut i = m;
+ loop {
+ i += 1;
+ f *= a / (i as f64) - s;
+ if i == y {
+ break;
+ }
+ }
+ } else if m > y {
+ let mut i = y;
+ loop {
+ i += 1;
+ f /= a / (i as f64) - s;
+ if i == m {
+ break;
+ }
+ }
+ }
+ if v > f {
+ continue;
+ } else {
+ break;
+ }
+ }
+
+ // Step 5.2: Squeezing. Check the value of ln(v) againts upper and
+ // lower bound of ln(f(y)).
+ let k = k as f64;
+ let rho = (k / npq) * ((k * (k / 3. + 0.625) + 1./6.) / npq + 0.5);
+ let t = -0.5 * k*k / npq;
+ let alpha = v.ln();
+ if alpha < t - rho {
+ break;
+ }
+ if alpha > t + rho {
+ continue;
+ }
+
+ // Step 5.3: Final acceptance/rejection test.
+ let x1 = (y + 1) as f64;
+ let f1 = (m + 1) as f64;
+ let z = (f64_to_i64(n) + 1 - m) as f64;
+ let w = (f64_to_i64(n) - y + 1) as f64;
+
+ fn stirling(a: f64) -> f64 {
+ let a2 = a * a;
+ (13860. - (462. - (132. - (99. - 140. / a2) / a2) / a2) / a2) / a / 166320.
+ }
+
+ if alpha > x_m * (f1 / x1).ln()
+ + (n - (m as f64) + 0.5) * (z / w).ln()
+ + ((y - m) as f64) * (w * p / (x1 * q)).ln()
+ // We use the signs from the GSL implementation, which are
+ // different than the ones in the reference. According to
+ // the GSL authors, the new signs were verified to be
+ // correct by one of the original designers of the
+ // algorithm.
+ + stirling(f1) + stirling(z) - stirling(x1) - stirling(w)
+ {
+ continue;
+ }
+
+ break;
+ }
+ assert!(y >= 0);
+ result = y as u64;
+ }
+
+ // Invert the result for p < 0.5.
+ if p != self.p {
+ self.n - result
+ } else {
+ result
+ }
+ }
+}
+
+#[cfg(test)]
+mod test {
+ use rand::Rng;
+ use crate::Distribution;
+ use super::Binomial;
+
+ fn test_binomial_mean_and_variance<R: Rng>(n: u64, p: f64, rng: &mut R) {
+ let binomial = Binomial::new(n, p).unwrap();
+
+ let expected_mean = n as f64 * p;
+ let expected_variance = n as f64 * p * (1.0 - p);
+
+ let mut results = [0.0; 1000];
+ for i in results.iter_mut() { *i = binomial.sample(rng) as f64; }
+
+ let mean = results.iter().sum::<f64>() / results.len() as f64;
+ assert!((mean as f64 - expected_mean).abs() < expected_mean / 50.0);
+
+ let variance =
+ results.iter().map(|x| (x - mean) * (x - mean)).sum::<f64>()
+ / results.len() as f64;
+ assert!((variance - expected_variance).abs() < expected_variance / 10.0);
+ }
+
+ #[test]
+ fn test_binomial() {
+ let mut rng = crate::test::rng(351);
+ test_binomial_mean_and_variance(150, 0.1, &mut rng);
+ test_binomial_mean_and_variance(70, 0.6, &mut rng);
+ test_binomial_mean_and_variance(40, 0.5, &mut rng);
+ test_binomial_mean_and_variance(20, 0.7, &mut rng);
+ test_binomial_mean_and_variance(20, 0.5, &mut rng);
+ }
+
+ #[test]
+ fn test_binomial_end_points() {
+ let mut rng = crate::test::rng(352);
+ assert_eq!(rng.sample(Binomial::new(20, 0.0).unwrap()), 0);
+ assert_eq!(rng.sample(Binomial::new(20, 1.0).unwrap()), 20);
+ }
+
+ #[test]
+ #[should_panic]
+ fn test_binomial_invalid_lambda_neg() {
+ Binomial::new(20, -10.0).unwrap();
+ }
+}